Law equivalence of Ornstein--Uhlenbeck processes driven by a Lévy process

Abstract: We demonstrate that two Ornstein--Uhlenbeck processes, that is, solutions to certain stochastic differential equations that are driven by a L\'evy process L have equivalent laws as long as the eigenvalues of the covariance operator associated to the Wiener part of L are strictly positive. Moreover, we show that in the case where the underlying L\'evy process is a purely jump process, which means that neither it has a Wiener part nor the drift, the absolute continuity of the law of one solution with respect to another forces equality of the solutions almost surely.